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subject:"Exchange rate"
subject:"Rationale Erwartung"
~person:"Francq, Christian"
~subject:"ARMA-Modell"
~subject:"Maximum-Likelihood-Schätzung"
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Exchange rate
Rationale Erwartung
ARMA-Modell
Maximum-Likelihood-Schätzung
Estimation theory
43
Schätztheorie
43
ARCH model
27
ARCH-Modell
27
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15
Theory
15
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11
Zeitreihenanalyse
11
Maximum likelihood estimation
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Estimation
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VAR model
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VAR-Modell
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Francq, Christian
Koopman, Siem Jan
23
Lee, Lung-fei
22
Pesaran, M. Hashem
20
Diebold, Francis X.
16
Brandt, Michael W.
13
Zakoïan, Jean-Michel
12
Fiorentini, Gabriele
11
McAleer, Michael
11
Phillips, Peter C. B.
11
Sentana, Enrique
11
Blasques, Francisco
10
Hayakawa, Kazuhiko
10
Nielsen, Morten Ørregaard
10
Gouriéroux, Christian
9
Lucas, André
9
Magnus, Jan R.
9
Pfaffermayr, Michael
9
Alizadeh, Sassan
8
Baillie, Richard
8
Christopeit, Norbert
8
Härdle, Wolfgang
8
Jin, Fei
8
Monfort, Alain
8
Sargent, Thomas J.
8
Taylor, Robert
8
Cavaliere, Giuseppe
7
Christiano, Lawrence J.
7
Fair, Ray C.
7
Hurn, Stan
7
Karanasos, Menelaos
7
Kukacka, Jiri
7
Ling, Shiqing
7
Massmann, Michael
7
Pittis, Nikitas
7
Poskitt, Donald Stephen
7
Tsionas, Efthymios G.
7
Vigfusson, Robert J.
7
West, Kenneth D.
7
Winkelmann, Rainer
7
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Série des documents de travail / Centre de Recherche en Économie et Statistique
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Annals of economics and statistics
1
Journal of econometrics
1
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ECONIS (ZBW)
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1
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
2
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
3
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
4
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
5
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
6
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
7
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 313-324
Persistent link: https://www.econbiz.de/10003878194
Saved in:
8
Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755835
Saved in:
9
Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian
;
Zakoïan, Jean-Michel
-
2008
Persistent link: https://www.econbiz.de/10003755838
Saved in:
10
Diagnostic checking in ARMA models with uncorrelated errors
Francq, Christian
;
Roy, Roch
;
Zakoïan, Jean-Michel
- In:
Journal of the American Statistical Association : JASA
100
(
2005
)
470
,
pp. 532-544
Persistent link: https://www.econbiz.de/10002929352
Saved in:
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